Key Takeaways with Craig
US Equity prices fluctuated earlier in the day but closed higher as we enter the last full week of October. Somewhat interestingly, implied volatility ticked higher in the E-mini Nasdaq-100 and S&P 500 options markets even as the futures price rose by about 1 and 1.3%, respectively. US Treasury markets were little changed today with the Micro 10-Year yield up by about 2 basis points and the Micro 2-Year yield near steady. The 2-Year is currently yielding about 27 basis points more than the 10-Year. According to CME’s CVOL indexes, implied volatility in the Treasury Options came down a bit today.
Generally speaking, it was a fairly quiet start to a week that will bring us earnings from large technology companies including Microsoft, Alphabet, Meta, Apple and Amazon as well as a reading on third quarter GDP scheduled for Thursday. The blue line in the QuikStrike graph below shows the volatility curve in CME’s E-mini Nasdaq-100 options and the orange line shows how it settled this past Friday. It provides a nice illustration that not only has vol risen today, but it remains elevated in the expirations this week relative to the surrounding expirations.
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